The SS1/23 Supervisory Statement (published in May 2023, following consultations in 2022) focuses on five core principles to ensure firms identify, assess, and mitigate risks from quantitative models:
Firms should establish a robust board-level framework for model risk.
Firms must maintain a complete inventory of all "models" in use. Download Ss123 2022 zip
The PRA defines a as any quantitative method or system that applies theories and assumptions to process input data into output. Principle 2: Governance
Models must undergo rigorous testing during development to ensure they are fit for purpose. The SS1/23 Supervisory Statement (published in May 2023,
A team independent from the model developers must perform a critical review of the model’s performance and assumptions.
A designated Senior Management Function (SMF) must be accountable for the MRM framework. Principle 2: Governance Models must undergo rigorous testing
When models have known limitations, firms should use Post-Model Adjustments (PMAs) to account for latent risks. Implementation Timeline